MPO with monotonic trade direction

[kch382001]

I have a question. If we use MPO in liquidation context with alpha estimation. Say
if my initial position is: long symbol A and short symbol B, and I have some short-term alpha estimate.
I want o liquidate this portfolio without buying extra A or selling B in the interim period. Basically I want the trade in A going monotonic --- keep selling A, and the trade in B going monotonic --- keeping buying B, in each of the interim period until I fully liquidate the portfolio.
How can I set up constraint?

[kch382001]

Looks like cvx.multiply(z[:-1], np.sign(initial_position))<=0 will do the job. (assuming initial_position does not have Cash position)